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Expiration day effects of stock index derivatives in Germany

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  • Christian Schlag

Abstract

There is a significant increase in trading volume on quarterly futures expiration days in Germany. Delays in the opening for the majority of index stocks indicate that a large part of this extraordinary volume is indeed traded right at the opening of the market. an increase in trading activity is also observed over the 10-minute settlement period for index options. Volatility remains unchanged around the expiration of a futures contract. an increase is found for the 10-minute settlement period of DAX options. Return reversals as the measure for the economic costs of contract expirations are significantly higher when a futures contract expires at the open. When an option expires at the close no clear pattern for reversals can be found. Copyright Blackwell Publishers Ltd. 1996.

Suggested Citation

  • Christian Schlag, 1996. "Expiration day effects of stock index derivatives in Germany," European Financial Management, European Financial Management Association, vol. 2(1), pages 69-95.
  • Handle: RePEc:bla:eufman:v:2:y:1996:i:1:p:69-95
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-036X.1996.tb00029.x
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    Citations

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    Cited by:

    1. Sobhesh Kumar Agarwalla & Ajay Pandey, 2013. "Expiration‐Day Effects and the Impact of Short Trading Breaks on Intraday Volatility: Evidence from the Indian Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(11), pages 1046-1070, November.
    2. Sumon Bhaumik & Suchismita Bose, 2007. "Impact of Derivatives Trading on Emerging Capital Markets: A Note on Expiration Day Effects in India," William Davidson Institute Working Papers Series wp863, William Davidson Institute at the University of Michigan.
    3. Joseph K.W. Fung & Haynes H.M. Yung, 2007. "Expiration-Day Effects - An Asian Twist," Working Papers 012007, Hong Kong Institute for Monetary Research.
    4. Heng Chih Chou & Wei Ning Chen & Dar Hsin Chen, 2006. "The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(5), pages 81-102, October.
    5. Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 107-120, April.
    6. repec:agh:journl:v:18:y:2017:i:2:p:201-225 is not listed on IDEAS
    7. Maniar, Hiren M. & Bhatt, Rajesh & Maniyar, Dharmesh M., 2009. ""Expiration hour effect of futures and options markets on stock market" -- A case study on NSE (National Stock Exchange of India)," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 381-391, June.
    8. Heng Chih Chou & Wei Ning Chen & Dar Hsin Chen, 2006. "The Expiration Effects of Stock-Index Derivatives: Empirical Evidence from the Taiwan Futures Exchange," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 42(5), pages 81-102, October.
    9. Hsieh, Shu-Fan & Ma, Tai, 2009. "Expiration-day effects: Does settlement price matter?," International Review of Economics & Finance, Elsevier, vol. 18(2), pages 290-300, March.

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